Measuring the effects of federal reserve forward guidance and asset purchases on financial markets
Measuring the effects of federal reserve forward guidance and asset purchases on financial markets
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DOI：
10.1016/j.jmoneco.2020.09.003
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发表时间：
2021-03-10
影响因子：
4.1
通讯作者：
Swanson, Eric T.
中科院分区：
文献类型：
--
作者：
Swanson, Eric T.
G？rkaynak et al.（2005 a）的研究被扩展，以分别识别1991年7月至2019年6月FOMC每次公告中联邦基金利率、前瞻指引和大规模资产购买（LSAP）的意外变化。前瞻性指引和LSAP对国债收益率、公司债券收益率、股票价格和汇率产生了巨大的、具有高度统计意义的影响，其影响程度与正常时期的联邦基金利率相当。这些影响都是非常持久的，除了非常大的，也许是特殊的2009年3月？QE1？关于LSAP的公告? 2020爱思唯尔B.V.保留所有权利。
The methods of G?rkaynak et al. (2005a) are extended to separately identify surprise changes in the federal funds rate, forward guidance, and large-scale asset purchases (LSAPs) for each FOMC announcement from July 1991 to June 2019. Forward guidance and LSAPs had substantial and highly statistically significant effects on Treasury yields, corporate bond yields, stock prices, and exchange rates, comparable in magnitude to the effects of the federal funds rate in normal times. These effects were all very persistent, with the exception of the very large and perhaps special March 2009 ?QE1? announcement for LSAPs. ? 2020 Elsevier B.V. All rights reserved.